First of all; Windows Movie Maker = piece of shit. Sony Vegas is a much more proffesional programme, plus it has more options. And I've never heard about WeGame Recorder. I use FRAPS (6 minutes = 3,60 GB lol) but it's really good. Great quality. Very well, in Sony Vegas, in order to get HD, you need to render with 1280x960 (or something else with 1280x---) then render as .wmv. I used the 5 Mbps HD 720-25p Video template. It'll become something like this:
I made the movie, so I know what's going on. The reason that there are black bars at the edges, is because that I play with 1024x768 in resolution in-game. But when I rendered as 1280x960 (to get HD), those black bars went in there to fill the space. That's all I know. So... if that didn't help, try to search on the internet.